Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0918 |
| Annualized Std Dev | 0.2128 |
| Annualized Sharpe (Rf=0%) | 0.4314 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4310.0000 |
| NAs | 1.0000 |
| Minimum | -0.1239 |
| Quartile 1 | -0.0047 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0066 |
| Maximum | 0.1088 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0002 |
| Stdev | 0.0134 |
| Skewness | -0.4880 |
| Kurtosis | 11.4908 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0099 |
| Gain Deviation | 0.0093 |
| Loss Deviation | 0.0112 |
| Downside Deviation (MAR=210%) | 0.0143 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.6033 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0334 |
| Modified VaR (95%) | -0.0203 |
| Modified ES (95%) | -0.0393 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-07-16 | 2009-03-09 | 2012-09-14 | -0.6033 | 1305 | 416 | 889 |
| 2020-02-21 | 2020-03-23 | 2020-10-12 | -0.3967 | 163 | 22 | 141 |
| 2018-08-30 | 2018-12-24 | 2019-04-30 | -0.2199 | 166 | 80 | 86 |
| 2015-04-01 | 2016-02-11 | 2016-12-07 | -0.2170 | 427 | 219 | 208 |
| 2006-05-09 | 2006-07-21 | 2006-11-14 | -0.1158 | 133 | 52 | 81 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | 1 | 0.2 | -0.8 | -0.2 | -0.4 | 0.2 | 1.1 | 1.6 | 0.2 | 1.2 | 0.1 | 4.3 |
| 2005 | 0.6 | 0.6 | 0 | 0.7 | 0.7 | 0.2 | 0.2 | 0 | 0.9 | 0.3 | 1.7 | -0.3 | 5.7 |
| 2006 | 0.3 | 1.1 | 0 | -0.1 | 1.2 | 0.2 | -0.7 | 0.5 | -0.3 | -0.9 | -0.4 | -0.2 | 0.6 |
| 2007 | 0.8 | -0.2 | 0 | 0.3 | 0.5 | 0.1 | 0.4 | 1.2 | 1.4 | -2.2 | 0.6 | -0.5 | 2.3 |
| 2008 | 2.9 | -2.7 | 3.7 | 1.5 | 0.5 | 0.3 | -0.3 | -1 | -0.9 | 2.2 | -9.9 | 2.2 | -2 |
| 2009 | -2.6 | -1.3 | 1.6 | 0.4 | 3.5 | 0.7 | 0.2 | -2.4 | -3.4 | -3.2 | 1.5 | -1.2 | -6.3 |
| 2010 | 1.9 | 1.7 | 1.1 | -2 | -2.5 | -0.4 | 0.3 | 3.5 | 0.3 | 0 | 2.2 | -0.3 | 5.7 |
| 2011 | 1.6 | -2 | 0.6 | 0.2 | -2.3 | 1.7 | -0.7 | -1.5 | -2.7 | -2.8 | -0.1 | -0.5 | -8.4 |
| 2012 | 1.6 | 0.9 | 0.2 | 0.7 | -3.1 | 2.9 | -0.7 | 0.5 | 0 | 1.8 | 0.2 | 1.9 | 6.9 |
| 2013 | 0.8 | 0.3 | -0.9 | -1.1 | -1.2 | 0.8 | 1.8 | -0.7 | 1 | 0.2 | -0.2 | 0.5 | 1.2 |
| 2014 | -0.5 | 0 | 1 | 0.2 | 0.1 | 0.7 | -0.3 | 0.4 | -1.4 | 1.3 | -1.1 | -0.9 | -0.4 |
| 2015 | -1.4 | -0.2 | -3.3 | 1.2 | 0.2 | 0.4 | 0.2 | -2.8 | 0.1 | 0 | 1 | -0.6 | -5.2 |
| 2016 | 0.4 | 2.4 | 0.4 | -0.7 | 0.2 | 0.2 | -0.5 | 0.1 | 0.8 | -0.8 | -0.8 | -0.3 | 1.4 |
| 2017 | -0.2 | 1.2 | 0 | 0.1 | 1.2 | 0.2 | 0.2 | 0.4 | 0.4 | -0.1 | -0.2 | -0.5 | 2.7 |
| 2018 | -0.1 | -0.9 | 1.4 | 0.1 | 1 | 0.1 | -0.5 | 0.1 | -0.2 | 1.6 | 0.5 | 1 | 4.1 |
| 2019 | 0.4 | 0.7 | 1.2 | -1.1 | -0.9 | 0.7 | -1.3 | 0 | -1.4 | 1.1 | -0.6 | 0.4 | -0.8 |
| 2020 | -1.6 | -1.2 | -4.8 | -3 | 1.1 | 0.3 | 0.2 | 1.3 | 0.9 | -1.1 | 0.7 | 0.2 | -7.1 |
| 2021 | 1.8 | 2.4 | 0.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-01-30 49.4 SPY 113. 0 -0.0083 0.0207 0.0789 0.344 -0.168 -0.0998 <NA> NA NA NA
2 2004-02-02 49.7 SPY 114. 0.0043 -0.0164 0.0242 0.0813 0.324 -0.162 -0.0853 <NA> NA NA NA
3 2004-02-03 49.5 SPY 114. -0.0017 -0.0078 0.0229 0.0805 0.320 -0.163 -0.102 <NA> NA NA NA
4 2004-02-04 49.0 SPY 113. -0.0082 -0.0046 0.0036 0.0647 0.322 -0.174 -0.116 <NA> NA NA NA
5 2004-02-05 49.1 SPY 113. 0.00290 -0.0026 0.0056 0.0702 0.334 -0.179 -0.108 <NA> NA NA NA
6 2004-02-06 49.9 SPY 114. 0.0112 0.0085 0.0135 0.0813 0.355 -0.165 -0.0926 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
